If your design only uses JTAG configuration, you should connect the MSEL0 pin to VCC which correlates to passive serial configuration. JTAG configuration will always take precedence over other configuration schemes. By setting the MSEL pins for passive serial configuration, you have the option of using the dedicated configuration pins ASDO and nCSO as user I/O pins.
Do not leave any of the MSEL pins floating. For JTAG to work the MSEL pins can be any setting as long as they are not floating.